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Editor's note forpart 249
Editor's note:
Naming changes for Part 249 appear at79FR 61539, October 10, 2014.
§ 249.20 Criteria for high quality liquid assets.
(A) Tier 1 money.An asset is a Tier 1 liquid asset if it is one of the following asset types:
(1)Reserve bank balances;
(2)available currency reserves;
(3)A timely payment of principal and interest issued or unconditionally guaranteed by the US Treasury Department;
(4)A bond issued by any agency of the United States government (other than the United States Department of the Treasury) whose liabilities are wholly and expressly guaranteed by the full confidence and credit of the United States Government of the United States, provided that the bond is liquid and negotiable readily available;
(5)A bond issued by a governmental entity, the Bank for International Settlements, the International Monetary Fund, the European Central Bank, the European Community or a multilateral development bank, or which has an unconditional guarantee by a governmental entity that the principal and interest will be paid in a timely manner is:
(EU)He was under Subpart D of Regulation Q (12 CFR Telephone 217) from the calculation date;
(of)Fluid and easily marketable;
(iii)Issued or guaranteed by a company whose bonds have a proven track record of being a reliable source of liquidity in repo or sell markets during stressful market conditions; AND
(4)It is not an obligation of any financial sector company or an obligation of a consolidated subsidiary of a financial sector company; any
(6)A bond issued by a government entity or unconditionally guaranteed for timely payment of principal and interest that does not have a zero percent risk weight under Subpart D of Regulation Q(12 CFR Telephone 217) if the government entity issues the bond in its own currency, the bond is liquid and readily tradable, and the bond is held by the entity regulated by the Board to meet net cash outflows in the jurisdiction of the government entity, as calculated belowSubpart D of this part.
(B) Cash and Cash Equivalents Level 2A.An asset is a Tier 2A liquid asset if the asset is liquid and readily tradable and belongs to the following asset types:
(1)A bond issued by a corporation sponsored by the US government or that guarantees timely payment of principal and interest, with a low investment grade rating12 CFR Phone 1on the calculation date, provided that there is a preemptive right on the preferred shares; any
(2)A bond issued or guaranteed for timely payment of principal and interest by a government agency or multilateral development bank that:
(EU)Not included in Tier 1 box;
(of)Risk weight assigned no greater than 20 percent in accordance with Subpart D of Regulation Q (12 CFR Telephone 217) from the calculation date;
(iii)Issued or guaranteed by an entity whose bonds have a proven track record of being a reliable source of liquidity in repo or sell markets under stressed market conditions, as evidenced by:
(A)The market price of the issuer's security or equivalent securities falling by no more than 10% during a 30-day significant stress period, or
(B)The market haircut required by counterparties for secured loans and secured financing transactions backed by the equivalent securities or equivalent securities of the issuer that does not increase by more than 10 percentage points during a 30-day period of significant stress; AND
(4)It is not an obligation of any financial sector entity, nor is it an obligation of a consolidated subsidiary of a financial sector entity.
(C) Cash and cash equivalents level 2B.An asset is a Tier 2B liquid asset if the asset is liquid and readily tradable and is one of the following types of assets:
(1)A corporate bond that:
(EU)low investment grade12 CFR Phone 1from the calculation date;
(of)Issued or guaranteed by an entity whose bonds have a proven track record of being a reliable source of liquidity in repo or sell markets under stressed market conditions, as evidenced by:
(A)The market price of the issuer's corporate bond, or equivalent, falling by no more than 20% during a 30 calendar day significant stress period, or
(B)Counterparty required market cutoff for secured loans and secured financing transactions backed by the issuer's corporate debt or equivalent securities that rise by no more than 20 percentage points during a 30-day significant stress period; AND
(iii)It is not an obligation of any financial sector company or an obligation of a consolidated subsidiary of a financial sector company;
(2)A publicly traded common stock that:
(EU)Contained in:
(A)the Russell 1000 Index; O
(B)A ratio that the regulator of a board-regulated institution in a foreign jurisdiction recognizes for purposes of inclusion of share units in Tier 2B liquid assets under applicable regulatory requirements when shares are held in that foreign jurisdiction;
(of)Issued on:
(A)American dollar; HE
(B)The currency of any jurisdiction in which the board-regulated entity operates and the board-regulated entity has an equity interest in common stock to meet the net outflows of funds in that jurisdiction, as calculated belowSubpart D of this part;
(iii)Issued by a company whose publicly traded common stock has a proven track record of being a reliable source of liquidity in the repurchase or sell markets during stressful market conditions, as evidenced by:
(A)The market price of the issuer's security or equivalent security falling by not more than 40% during a 30 calendar day significant stress period, or
(B)The market haircut required of counterparties for credit and securities transactions backed by the issuer's publicly traded common stock or equivalent securities that do not increase by more than 40 percentage points over a 30-year period of significant calendar-day stress;
(4)Not issued by a financial sector company and not issued by a consolidated subsidiary of a financial sector company;
(v)If held by a depositary institution, it is not acquired to pay a previously contracted debt (DPC); AND
(vi)If held by a consolidated subsidiary of a depositor, the depositor may include the interest in publicly traded common stock in its Level 2B net assets only if the interest is held to meet the net cash outflows of the consolidated subsidiary of the depositing institution and they are publicly traded. the ordinary participation in the capital remains calculated according to the institution regulated by the board of directorsSubpart D of this part; Ö
(3)A municipal bond with poor investment quality12 CFR Phone 1from the calculation date.
[79FR 61523,61539, October 10, 2014, changed to81FR21232, April 11, 2016;83 FR 44455, August 31, 2018]