SECTION 249.131—Disclosure Requirements

(i) A covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company must calculate its disclosed amounts:

(ii) A covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company must disclose the beginning date and end date for each calendar quarter.

(i) For each component of a covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s ASF amount calculation, other than the NSFR derivatives liability amount and total derivatives liability amount, the “unweighted amount” means the sum of the carrying values of the covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s NSFR regulatory capital elements and NSFR liabilities, as applicable, determined before applying the appropriate ASF factors, and subdivided into the following maturity categories, as applicable: Open maturity; less than six months after the calculation date; six months or more, but less than one year, after the calculation date; one year or more after the calculation date; and perpetual.

(ii) For each component of a covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s RSF amount calculation, other than amounts included in paragraphs (c)(2)(xvi) through (xix) of this section, the “unweighted amount” means the sum of the carrying values of the covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s assets and undrawn amounts of committed credit facilities and committed liquidity facilities extended by the covered depository institution holding company, or U.S. intermediate holding company, or covered nonbank company, as applicable, determined before applying the appropriate RSF factors, and subdivided by maturity into the following maturity categories, as applicable: Open maturity; less than six months after the calculation date; six months or more, but less than one year, after the calculation date; one year or more after the calculation date; and perpetual.

(i) For each component of a covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s ASF amount calculation, other than the NSFR derivatives liability amount and total derivatives liability amount, the “weighted amount” means the sum of the carrying values of the covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s NSFR regulatory capital elements and NSFR liabilities, as applicable, multiplied by the appropriate ASF factors.

(ii) For each component of a covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s RSF amount calculation, other than amounts included in paragraphs (c)(2)(xvi) through (xix) of this section, the “weighted amount” means the sum of the carrying values of the covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s assets and undrawn amounts of committed credit facilities and committed liquidity facilities extended by the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company, multiplied by the appropriate RSF factors.

(i) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(1)(ii) and (iii) of this section (row 1);

(ii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of NSFR regulatory capital elements described in section 249.104(a)(1) (row 2);

(iii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of securities described in sections 249.104(a)(2), 249.104(d)(5), and 249.104(e)(3) (row 3);

(iv) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(1)(v) through (viii) of this section (row 4);

(v) The average weighted amount and, for each applicable maturity category, the average unweighted amount of stable retail deposits and sweep deposits held at the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company described in section 249.104(b) (row 5);

(vi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of retail deposits other than stable retail deposits or brokered deposits, described in section 249.104(c)(1) (row 6);

(vii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of sweep deposits, brokered reciprocal deposits, and brokered deposits provided by a retail customer or counterparty described in sections 249.104(c)(2), 249.104(c)(3), 249.104(c)(4), 249.104(d)(7), 249.104(d)(8) and 249.104(e)(2) (row 7);

(viii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of other funding provided by a retail customer or counterparty described in section 249.104(d)(9) (row 8);

(ix) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(1)(x) and (xi) of this section (row 9);

(x) The average weighted amount and, for each applicable maturity category, the average unweighted amount of operational deposits placed at the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company described in section 249.104(d)(6) (row 10);

(xi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of other wholesale funding described in sections 249.104(a)(2), 249.104(d)(1), 249.104(d)(2), 249.104(d)(3), 249.104(d)(4), 249.104(d)(10), and 249.104(e)(4) (row 11);

(xii) In the “unweighted” cell, the average amount of the NSFR derivatives liability amount described in section 249.107(d)(2) (row 12);

(xiii) In the “unweighted” cell, the average amount of the total derivatives liability amount described in section 249.107(e)(2) (row 13);

(xiv) The average weighted amount and, for each applicable maturity category, the average unweighted amount of all other liabilities not included in amounts disclosed under paragraphs (c)(1)(i) through (xiii) of this section (row 14);

(xv) The average amount of the ASF amount described in section 249.103 (row 15);

(i) The sum of the average weighted amounts and the sum of the average unweighted amounts of paragraphs (c)(2)(ii) through (iv) of this section (row 16);

(ii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of level 1 liquid assets described in sections 249.106(a)(1) (row 17);

(iii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of level 2A liquid assets described in section 249.106(a)(3)(i) (row 18);

(iv) The average weighted amount and, for each applicable maturity category, the average unweighted amount of level 2B liquid assets described in section 249.106(a)(4)(i) (row 19);

(v) The average weighted amount and, for each applicable maturity category, the average unweighted amount of assets described in section 249.106(a)(1), other than level 1 liquid assets included in amounts disclosed under paragraph (c)(2)(ii) of this section or secured lending transactions included in amounts disclosed under paragraph (c)(2)(viii) of this section (row 20);

(vi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of operational deposits placed at financial sector entities or consolidated subsidiaries thereof described in section 249.106(a)(4)(iii) (row 21);

(vii) The sum of the average weighted amounts and, for each applicable maturity category, the sum of the average unweighted amounts of paragraphs (c)(2)(viii), (ix), (x), (xii), and (xiv) of this section (row 22);

(viii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions where the borrower is a financial sector entity or a consolidated subsidiary of a financial sector entity and the secured lending transaction is secured by level 1 liquid assets, described in sections 249.106(a)(1)(vii), 249.106(a)(3)(ii), 249.106(a)(4)(ii), and 249.106(a)(7) (row 23);

(ix) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions that are secured by assets other than level 1 liquid assets and unsecured wholesale lending, in each case where the borrower is a financial sector entity or a consolidated subsidiary of a financial sector entity, described in sections 249.106(a)(3)(ii), 249.106(a)(4)(ii), and 249.106(a)(7) (row 24);

(x) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions and unsecured wholesale lending to wholesale customers or counterparties that are not financial sector entities or consolidated subsidiaries thereof, and lending to retail customers and counterparties other than retail mortgages, described in sections 249.106(a)(4)(iv), 249.106(a)(5)(ii), and 249.106(a)(6)(ii) (row 25);

(xi) The average weighted amount and, for each applicable maturity category, the average unweighted amount of secured lending transactions, unsecured wholesale lending, and lending to retail customers or counterparties that are assigned a risk weight of no greater than 20 percent under subpart D of Regulation Q (12 CFR part 217) described in sections 249.106(a)(4)(ii), 249.106(a)(4)(iv), and 249.106(a)(5)(ii) (row 26);

(xii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of retail mortgages described in sections 249.106(a)(4)(iv), 249.106(a)(5)(i), and 249.106(a)(6)(i) (row 27);

(xiii) The average weighted amount and, for each applicable maturity category, the average unweighted amount of retail mortgages assigned a risk weight of no greater than 50 percent under subpart D of Regulation Q (12 CFR part 217) described in sections 249.106(a)(4)(iv) and 249.106(a)(5)(i) (row 28);

(xiv) The average weighted amount and, for each applicable maturity category, the average unweighted amount of publicly traded common equity shares and other securities that are not HQLA and are not nonperforming assets described in sections 249.106(a)(6)(iii), and 249.106(a)(6)(iv) (row 29);

(xv) The average weighted amount and average unweighted amount of commodities described in sections 249.106(a)(6)(v) and 249.106(a)(7) (row 30);

(xvi) The average unweighted amount and average weighted amount of the sum of (A) assets contributed by the covered depository institution holding company to a central counterparty’s mutualized loss-sharing arrangement described in section 249.107(b)(6) (in which case the “unweighted amount” shall equal the fair value and the “weighted amount” shall equal the unweighted amount multiplied by 85 percent) and (B) assets provided as initial margin by the covered depository institution holding company, U.S. intermediate holding company, or covered nonbank company for derivative transactions described in section 249.107(b)(7) (in which case the “unweighted amount” shall equal the fair value and the “weighted amount” shall equal the unweighted amount multiplied by the higher of 85 percent or the RSF factor assigned to the asset pursuant to section 249.106) (row 31);

(xvii) In the “unweighted” cell, the covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s average amount of the NSFR derivatives asset amount under section 249.107(d)(1) and in the “weighted” cell, the covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s average amount of the NSFR derivatives asset amount under section 249.107(d)(1) multiplied by 100 percent (row 32);

(xviii) In the “unweighted” cell, the covered depository institution holding company’s, U.S. intermediate holding company’s, or covered nonbank company’s average amount of the total derivatives asset amount described in section 249.107(e)(1) (row 33);

(xx) The average weighted amount and, for each applicable maturity category, the average unweighted amount of all other asset amounts not included in amounts disclosed under paragraphs (c)(2)(i) through (xix) of this section, including nonperforming assets (row 35);

(xxi) The average weighted and unweighted amount of undrawn credit and liquidity facilities described in section 249.106(a)(2) (row 36);

(xxii) The average amount of the RSF amount as calculated in section 249.105(a) prior to the application of the applicable required stable funding adjustment percentage in section 249.105(b) (row 37);

(xxiii) The applicable required stable funding adjustment percentage described in Table 1 to section 249.105(b) (row 38);

(xxiv) The average amount of the RSF amount as calculated under section 249.105 (row 39);

(i) The main drivers of the net stable funding ratio;

(ii) Changes in the net stable funding ratio results over time and the causes of such changes (for example, changes in strategies and circumstances);

(iii) Concentrations of funding sources and changes in funding structure; or

(iv) Concentrations of available and required stable funding within a covered company’s corporate structure (for example, across legal entities).