CMS Sept 2022

Internal Use Only

The Tailoring Rule

• Defined size standards • Aligned requirements • CCAR • 35 banks over $100 billion

25

Internal Use Only

The Tailoring Rule - Simplified Category Size Levels Capital Requirements

LCR Requirements Same as Category II

I

U.S. GSIBs

Category I plus GSIB Buffer Category III plus AOCI flow through, SA ‐ CCR and Advanced Approach RWA all required Category IV plus countercyclical buffer and supplementary leverage ratio.

II

=>$700 billion in total asset

100% LCR with daily calculation.

100% LCR if $75 billion average SWTF; 70% LCR if < $75 billion. Daily calculation.

III

=> 250 billion in total assets or => $100 billion in total assets with > $75 billion in average weighted short ‐ term wholesale funding (SWTF)

IV

=> $100 billion in total assets

Standardized Approach for Counterparty Credit Risk (SA ‐ CCR) and AOCI flow through optional.

70% LCR if SWTF > $50 billion with monthly calculation. No LCR for others.

26