This NPR lays out new disclosure requirements for banks, BHCs, and other holding companies subject to the inter-agency liquidity-coverage ratio (LCR) requirements, generally entities with over $250 billion in assets and their subsidiaries. The FRB also has a modified LCR for BHCs with assets between $50 billion and $250 billion; these BHCs would also come under new reporting requirements, albeit eased in several respects and modified to suit their version of the LCR. The NPR would also alter the implementation schedule for companies that come under the modified LCR, moving it from the first quarter after which assets exceed $50 billion to one year thereafter. The Board framework would for the first time harmonize public reports with the LCR framework so that investors and counterparties can assess a covered bank’s high-quality liquid asset (HQLA) books, cash in- and out-flow assumptions, and related derivative and counterparty factors, mapping these where desired against other disclosures on capital, stress tests, and counterparties. This could have significant near-term market impact as well as create a disclosure framework from which the FRB could expand stress testing from its current solvency focus also to consider liquidity risk. New penalties associated with illiquidity would then be likely for the largest U.S. BHCs.

The full report is available to retainer clients. To find out how you can sign up for the service, click here.