What 12 CFR Part 249 - Federal Reserve Liquidity Risk Measurement Standards (Regulation WW): Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR), and HQLA Requirements for Board-Regulated Institutions requires
12 CFR Part 249 is the Federal Reserve's Regulation WW implementing the Basel III Liquidity Coverage Ratio (LCR) and Net Stable Funding Ratio (NSFR) for Board-regulated institutions on a consolidated basis. Section 249.1(a) establishes a minimum liquidity standard and a minimum stable funding standard. Section 249.1(b) sets applicability to (i) Global systemically important BHCs, (ii) GSIB depository institutions, (iii) Category II Board-regulated institutions, (iv) Category III Board-regulated institutions, (v) Category IV Board-regulated institutions with $50 billion or more in average weighted short-term wholesale funding, (ii) covered nonbank companies, or (iii) any Board-regulated institution where the Board determines application is appropriate. Section 249.1(b)(2) excludes bridge financial companies as defined in 12 USC 5381(a)(3), new depository institutions, and bridge depository institutions. Section 249.3 sets the operative definitions including the LCR, NSFR, HQLA, level 1, level 2A, and level 2B liquid assets, brokered deposit, operational deposit, and over 100 other terms. Section 249.10 requires the Board-regulated institution to calculate and maintain a liquidity coverage ratio equal to or greater than 1.0 on each business day (or, for Category IV, on the last business day of the applicable month) in accordance with Part 249, with the elected calculation time fixed by written notice to the Board prior to December 31, 2019. Section 249.20 sets the level 1, level 2A, and level 2B liquid asset criteria - level 1 includes Reserve Bank balances, foreign withdrawable reserves, US Treasury securities, and securities issued or unconditionally guaranteed by a US government agency fully and explicitly guaranteed by the full faith and credit of the US government, or by a sovereign entity, the Bank for International Settlements, the IMF, the European Central Bank, the European Community, or a multilateral development bank that is assigned a zero percent risk weight under subpart D of Regulation Q (12 CFR Part 217) and is liquid and readily-marketable. Section 249.21 calculates the HQLA amount as level 1 plus level 2A (at 85% of fair value) plus level 2B (at 50% of fair value), minus the greater of the unadjusted excess HQLA amount or the adjusted excess HQLA amount. Section 249.22 sets HQLA operational requirements including monetisation capability, control under the liquidity management function, segregation, and policies and procedures. Section 249.30 calculates the total net cash outflow amount as the outflow adjustment percentage multiplied by the sum of outflow amounts. Section 249.40 imposes a liquidity coverage shortfall supervisory framework requiring notification of the Board on any business day when the LCR is calculated to be less than the minimum requirement. Section 249.50 sets transitions for Board-regulated institutions becoming subject to Part 249. The Net Stable Funding Ratio subpart (Subpart K, sections 249.100 onwards) implements the Basel III stable funding standard requiring an NSFR equal to or greater than 1.0.
Pillar: Banking & Global Finance · Authority: Board of Governors of the Federal Reserve System, implementing section 165 of the Dodd-Frank Wall Street Reform and Consumer Protection Act (12 USC 5365) and the Bank Holding Company Act of 1956 (12 USC 1841 et seq.); codified in the Code of Federal Regulations Title 12 Part 249 (Regulation WW) and maintained on a current basis by the Office of the Federal Register · Version: 1.0.0 · Last updated:
Primary source: https://www.ecfr.gov/current/title-12/chapter-II/subchapter-A/part-249
SHA-256 integrity: b2e1fd3032a8a5464173e5e1012506838b00e27b993c7adc3f11f0beedc44456
Primary Citations — 12 traced to source
- 12 CFR 249.1 - Purpose and applicability - Regulation WW establishes a minimum liquidity standard and a minimum stable funding standard for certain Board-regulated institutions on a consolidated basis; applies to Global systemically important BHCs, GSIB depository institutions, Category II, Category III, and Category IV Board-regulated institutions with $50 billion or more in average weighted short-term wholesale funding, covered nonbank companies, and Board-determined institutions
- 12 CFR 249.3 - Definitions - including LCR, NSFR, HQLA, level 1, level 2A, level 2B liquid assets, brokered deposit, operational deposit, average weighted short-term wholesale funding, Board-regulated institution (a state member bank, covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company), and over 100 other operative terms
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