Liquidity reserve.

CFR · 2024-01-01 · US · Title 12

(a) (2) (i) The purpose and objectives of the liquidity reserve; (ii) Diversification requirements for the liquidity reserve portfolio; (iii) The target amount of days of liquidity that the bank needs based on its business model and risk profile; (iv) Delegations of authority pertaining to the liquidity reserve; and (v) Reporting requirements, which at a minimum must require management to report to the board at least once every quarter about compliance with the bank's liquidity policy and the performance of the liquidity reserve portfolio. However, management must report any deviation from the bank's liquidity policy, or failure to meet the board's liquidity targets to the board before the end of the quarter if such deviation or failure has the potential to cause material loss to the bank. (b) (1) Days 1 through 15 only with Level 1 instruments; (2) Days 16 through 30 only with Level 1 and Level 2 instruments; and (3) Days 31 through 90 with Level 1, Level 2, and Level 3 instruments. (c) (d) (1) Can be easily and quickly converted into cash with little or no loss in value; (2) Exhibits low credit and market risks; (3) Has ease and certainty of valuation; and (4) Except for money market instruments, can be easily bought and sold in active and sizeable markets without significantly affecting prices. (e) (f) (1) Be customized to the financial condition and liquidity risk profile of the bank and the board's liquidity risk tolerance policy. (2) Identify funding alternatives that t

official document · source cfr-2024 · id 12:§ 615.5134