OCC BULLETIN 2018-46
Subject: Capital and Liquidity Requirements
Date: December 21, 2018
To: Chief Executive Officers of All National Banks and Federal Savings Associations, Department and Division Heads, All Examining Personnel, and Other Interested Parties
Description: Notice of Proposed Rulemaking
The Office of the Comptroller of the Currency (OCC), the Board of Governors of the Federal Reserve System, and the Federal Deposit Insurance Corporation (collectively, the agencies) are issuing a notice of proposed rulemaking that would establish a revised framework for determining requirements under the regulatory capital rule, the liquidity coverage ratio (LCR) rule, and the proposed net stable funding ratio (NSFR) rule for large U.S. banking organizations based on their risk profile.
Many of the agencies’ current rules, including the capital rule, the LCR rule, and the proposed NSFR rule, differentiate among banking organizations based on one or more risk indicators, such as total asset size and foreign exposure.
Specifically, the capital rule categorizes banking organizations into two groups: (i) banking organizations subject solely to the standardized approach risk-based capital rules, which have total consolidated assets of less than $250 billion and total on-balance-sheet foreign exposure of less than $10 billion (standardized approach banking organizations); and (ii) banking organizations that use the advanced approaches risk-based capital rules, which generally have $250 billion or more in total consolidated assets or $10 billion or more in total on-balance-sheet foreign exposure, together with depository institution subsidiaries of banking organizations meeting those thresholds (advanced approaches banking organizations).
Standardized approach banking organizations must calculate risk-weighted assets using the relatively simple standardized approach and calculate a leverage ratio that measures regulatory capital relative to on-balance-sheet assets.
Advanced approaches banking organizations must use both the internal models-based advanced approaches and the standardized approach to determine their risk-based capital ratios. They also must calculate a supplementary leverage ratio, which measures regulatory capital relative to on-balance-sheet and certain off-balance-sheet exposures.
With respect to the liquidity rules, the LCR rule currently distinguishes between banking organizations based on total asset size and foreign exposure. The full LCR requirement generally applies to advanced approaches banking organizations and to their depository institutions with total consolidated assets equal to $10 billion or more. The proposed NSFR requirement would apply to the same banking organizations as the current LCR requirement.
Please contact Mark Ginsberg, Senior Risk Expert, Capital Policy Division, at (202) 649-6370; James Weinberger, Technical Expert, Treasury and Market Risk, at (202) 649-6360, or Carl Kaminski, Special Counsel, Chief Counsel’s Office, at (202) 649-5490.