12 CFR 249.31 – Determining maturity
(a) For purposes of calculating its liquidity coverage ratio and the components thereof under this subpart, a Board-regulated institution shall assume an asset or transaction matures:
(1) With respect to an instrument or transaction subject to § 249.32, on the earliest possible contractual maturity date or the earliest possible date the transaction could occur, taking into account any option that could accelerate the maturity date or the date of the transaction, except that when considering the earliest possible contractual maturity date or the earliest possible date the transaction could occur, the Board-regulated institution should exclude any contingent options that are triggered only by regulatory actions or changes in law or regulation, as follows:
(i) If an investor or funds provider has an option that would reduce the maturity, the Board-regulated institution must assume that the investor or funds provider will exercise the option at the earliest possible date;
(ii) If an investor or funds provider has an option that would extend the maturity, the Board-regulated institution must assume that the investor or funds provider will not exercise the option to extend the maturity;
(iii) If the Board-regulated institution has an option that would reduce the maturity of an obligation, the Board-regulated institution must assume that the Board-regulated institution will exercise the option at the earliest possible date, except if either of the following criteria are satisfied, in which case the maturity of the obligation for purposes of this part will be the original maturity date at issuance:
(A) The original maturity of the obligation is greater than one year and the option does not go into effect for a period of 180 days following the issuance of the instrument; or
(B) The counterparty is a sovereign entity, a U.S. government-sponsored enterprise, or a public sector entity.
(iv) If the Board-regulated institution has an option that would extend the maturity of an obligation it issued, the Board-regulated institution must assume the Board-regulated institution will not exercise that option to extend the maturity; and
(v) If an option is subject to a contractually defined notice period, the Board-regulated institution must determine the earliest possible contractual maturity date regardless of the notice period.
(2) With respect to an instrument or transaction subject to § 249.33, on the latest possible contractual maturity date or the latest possible date the transaction could occur, taking into account any option that could extend the maturity date or the date of the transaction, except that when considering the latest possible contractual maturity date or the latest possible date the transaction could occur, the Board-regulated institution may exclude any contingent options that are triggered only by regulatory actions or changes in law or regulation, as follows:
(i) If the borrower has an option that would extend the maturity, the Board-regulated institution must assume that the borrower will exercise the option to extend the maturity to the latest possible date;
(ii) If the borrower has an option that would reduce the maturity, the Board-regulated institution must assume that the borrower will not exercise the option to reduce the maturity;
(iii) If the Board-regulated institution has an option that would reduce the maturity of an instrument or transaction, the Board-regulated institution must assume the Board-regulated institution will not exercise the option to reduce the maturity;
(iv) If the Board-regulated institution has an option that would extend the maturity of an instrument or transaction, the Board-regulated institution must assume the Board-regulated institution will exercise the option to extend the maturity to the latest possible date; and
(v) If an option is subject to a contractually defined notice period, the Board-regulated institution must determine the latest possible contractual maturity date based on the borrower using the entire notice period.
(3) With respect to a transaction subject to § 249.33(f)(1)(iii) through (vii) (secured lending transactions) or § 249.33(f)(2)(ii) through (x) (asset exchanges), to the extent the transaction is secured by collateral that has been pledged in connection with either a secured funding transaction or asset exchange that has a remaining maturity of 30 calendar days or less as of the calculation date, the maturity date is the later of the maturity date determined under paragraph (a)(2) of this section for the secured lending transaction or asset exchange or the maturity date determined under paragraph (a)(1) of this section for the secured funding transaction or asset exchange for which the collateral has been pledged.
(4) With respect to a transaction that has an open maturity, is not an operational deposit, and is subject to the provisions of § 249.32(h)(2), (h)(5), (j), or (k) or § 249.33(d) or (f), the maturity date is the first calendar day after the calculation date. Any other transaction that has an open maturity and is subject to the provisions of § 249.32 shall be considered to mature within 30 calendar days of the calculation date.
(5) With respect to a transaction subject to the provisions of § 249.33(g), on the date of the next scheduled calculation of the amount required under applicable legal requirements for the protection of customer assets with respect to each broker-dealer segregated account, in accordance with the Board-regulated institution’s normal frequency of recalculating such requirements.
(b) [Reserved]