(a) Unencumbered assets and commitments. All assets and undrawn amounts under credit and liquidity facilities, unless otherwise provided in § 329.107(b) relating to derivative transactions or paragraphs (b) through (d) of this section, are assigned RSF factors as follows:
(1) Unencumbered assets assigned a zero percent RSF factor. An asset of an FDIC-supervised institution is assigned a zero percent RSF factor if it is one of the following:
(i) Currency and coin;
(ii) A cash item in the process of collection;
(iii) A Reserve Bank balance or other claim on a Reserve Bank that matures less than six months from the calculation date;
(iv) A claim on a foreign central bank that matures less than six months from the calculation date;
(v) A trade date receivable due to the FDIC-supervised institution resulting from the FDIC-supervised institution's sale of a financial instrument, foreign currency, or commodity that is required to settle no later than the market standard, without extension, for the particular transaction, and that has yet to settle but is not more than five business days past the scheduled settlement date;
(vi) Any other level 1 liquid asset not described in paragraphs (a)(1)(i) through (a)(1)(v) of this section; or
(vii) A secured lending transaction with the following characteristics:
(A) The secured lending transaction matures less than six months from the calculation date;
(B) The secured lending transaction is secured by level 1 liquid assets;
(C) The borrower is a financial sector entity or a consolidated subsidiary thereof; and
(D) The FDIC-supervised institution retains the right to rehypothecate the collateral provided by the counterparty for the duration of the secured lending transaction.
(2) Unencumbered assets and commitments assigned a 5 percent RSF factor. An undrawn amount of a committed credit facility or committed liquidity facility extended by an FDIC-supervised institution is assigned a 5 percent RSF factor. For the purposes of this paragraph (a)(2), the undrawn amount of a committed credit facility or committed liquidity facility is the entire unused amount of the facility that could be drawn upon within one year of the calculation date under the governing agreement.
(3) Unencumbered assets assigned a 15 percent RSF factor. An asset of an FDIC-supervised institution is assigned a 15 percent RSF factor if it is one of the following:
(i) A level 2A liquid asset; or
(ii) A secured lending transaction or unsecured wholesale lending with the following characteristics:
(A) The asset matures less than six months from the calculation date;
(B) The borrower is a financial sector entity or a consolidated subsidiary thereof; and
(C) The asset is not described in paragraph (a)(1)(vii) of this section and is not an operational deposit described in paragraph (a)(4)(iii) of this section.
(4) Unencumbered assets assigned a 50 percent RSF factor. An asset of an FDIC-supervised institution is assigned a 50 percent RSF factor if it is one of the following:
(i) A level 2B liquid asset;
(ii) A secured lending transaction or unsecured wholesale lending with the following characteristics:
(A) The asset matures six months or more, but less than one year, from the calculation date;
(B) The borrower is a financial sector entity, a consolidated subsidiary thereof, or a central bank; and
(C) The asset is not an operational deposit described in paragraph (a)(4)(iii) of this section;
(iii) An operational deposit placed by the FDIC-supervised institution at a financial sector entity or a consolidated subsidiary thereof; or
(iv) An asset that is not described in paragraphs (a)(1) through (a)(3) or (a)(4)(i) through (a)(4)(iii) of this section that matures less than one year from the calculation date, including:
(A) A secured lending transaction or unsecured wholesale lending where the borrower is a wholesale customer or counterparty that is not a financial sector entity, a consolidated subsidiary thereof, or a central bank; or
(B) Lending to a retail customer or counterparty.
(5) Unencumbered assets assigned a 65 percent RSF factor. An asset of an FDIC-supervised institution is assigned a 65 percent RSF factor if it is one of the following:
(i) A retail mortgage that matures one year or more from the calculation date and is assigned a risk weight of no greater than 50 percent under subpart D of 12 CFR part 324; or
(ii) A secured lending transaction, unsecured wholesale lending, or lending to a retail customer or counterparty with the following characteristics:
(A) The asset is not described in paragraphs (a)(1) through (a)(5)(i) of this section;
(B) The borrower is not a financial sector entity or a consolidated subsidiary thereof;
(C) The asset matures one year or more from the calculation date; and
(D) The asset is assigned a risk weight of no greater than 20 percent under subpart D of 12 CFR part 324.
(6) Unencumbered assets assigned an 85 percent RSF factor. An asset of an FDIC-supervised institution is assigned an 85 percent RSF factor if it is one of the following:
(i) A retail mortgage that matures one year or more from the calculation date and is assigned a risk weight of greater than 50 percent under subpart D of 12 CFR part 324;
(ii) A secured lending transaction, unsecured wholesale lending, or lending to a retail customer or counterparty with the following characteristics:
(A) The asset is not described in paragraphs (a)(1) through (a)(6)(i) of this section;
(B) The borrower is not a financial sector entity or a consolidated subsidiary thereof;
(C) The asset matures one year or more from the calculation date; and
(D) The asset is assigned a risk weight of greater than 20 percent under subpart D of 12 CFR part 324;
(iii) A publicly traded common equity share that is not HQLA;
(iv) A security, other than a publicly traded common equity share, that matures one year or more from the calculation date and is not HQLA; or
(v) A commodity for which derivative transactions are traded on a U.S. board of trade or trading facility designated as a contract market under sections 5 and 6 of the Commodity Exchange Act (7 U.S.C. 7 and 8) or on a U.S. swap execution facility registered under section 5h of the Commodity Exchange Act (7 U.S.C. 7b-3) or on another exchange, whether located in the United States or in a jurisdiction outside of the United States.
(7) Unencumbered assets assigned a 100 percent RSF factor. An asset of an FDIC-supervised institution is assigned a 100 percent RSF factor if it is not described in paragraphs (a)(1) through (a)(6) of this section, including a secured lending transaction or unsecured wholesale lending where the borrower is a financial sector entity or a consolidated subsidiary thereof and that matures one year or more from the calculation date.
(b) Nonperforming assets. An RSF factor of 100 percent is assigned to any asset that is past due by more than 90 days or nonaccrual.
(c) Encumbered assets. An encumbered asset, unless otherwise provided in § 329.107(b) relating to derivative transactions, is assigned an RSF factor as follows:
(1)
(i) Encumbered assets with less than six months remaining in the encumbrance period. For an encumbered asset with less than six months remaining in the encumbrance period, the same RSF factor is assigned to the asset as would be assigned if the asset were not encumbered.
(ii) Encumbered assets with six months or more, but less than one year, remaining in the encumbrance period. For an encumbered asset with six months or more, but less than one year, remaining in the encumbrance period:
(A) If the asset would be assigned an RSF factor of 50 percent or less under paragraphs (a)(1) through (a)(4) of this section if the asset were not encumbered, an RSF factor of 50 percent is assigned to the asset.
(B) If the asset would be assigned an RSF factor of greater than 50 percent under paragraphs (a)(5) through (a)(7) of this section if the asset were not encumbered, the same RSF factor is assigned to the asset as would be assigned if it were not encumbered.
(iii) Encumbered assets with one year or more remaining in the encumbrance period. For an encumbered asset with one year or more remaining in the encumbrance period, an RSF factor of 100 percent is assigned to the asset.
(2) Assets encumbered for period longer than remaining maturity. If an asset is encumbered for an encumbrance period longer than the asset's maturity, the asset is assigned an RSF factor under paragraph (c)(1) of this section based on the length of the encumbrance period.
(3) Segregated account assets. An asset held in a segregated account maintained pursuant to statutory or regulatory requirements for the protection of customer assets is not considered encumbered for purposes of this paragraph solely because such asset is held in the segregated account.
(d) Off-balance sheet rehypothecated assets. When an NSFR liability of an FDIC-supervised institution is secured by an off-balance sheet asset or results from the FDIC-supervised institution selling an off-balance sheet asset (for instance, in the case of a short sale), other than an off-balance sheet asset received by the FDIC-supervised institution as variation margin under a derivative transaction:
(1) If the FDIC-supervised institution received the off-balance sheet asset under a lending transaction, an RSF factor is assigned to the lending transaction as if it were encumbered for the longer of:
(i) The remaining maturity of the NSFR liability; and
(ii) Any other encumbrance period applicable to the lending transaction;
(2) If the FDIC-supervised institution received the off-balance sheet asset under an asset exchange, an RSF factor is assigned to the asset provided by the FDIC-supervised institution in the asset exchange as if the provided asset were encumbered for the longer of:
(i) The remaining maturity of the NSFR liability; and
(ii) Any other encumbrance period applicable to the provided asset; or
(3) If the FDIC-supervised institution did not receive the off-balance sheet asset under a lending transaction or asset exchange, an RSF factor is assigned to the on-balance sheet asset resulting from the rehypothecation of the off-balance sheet asset as if the on-balance sheet asset were encumbered for the longer of:
(i) The remaining maturity of the NSFR liability; and
(ii) Any other encumbrance period applicable to the transaction through which the off-balance sheet asset was received.