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pdfFR 2052b; OMB Number 7100-0361
Approval Expires August 31, 2017
GENERAL INSTRUCTIONS
Purpose
The FR 2052b report collects data elements that
will enable the Federal Reserve to assess the
ability of firms to meet their liquidity needs.
System's Reporting Central Application.
http://www.frbservices.org/centralbank/reportin
gcentral by 8 pm (Central Time) on the 15th of
the month following the data as-of date. If the
15th of the month falls on a Saturday, Sunday, or
holiday, the report would be submitted on the
previous business day.
Frequency of Reporting
Who Must Report
Bank Holding Companies (BHCs) with total
consolidated assets of greater than $10 billion1
should submit this report on an ongoing basis as
part of the supervisory monitoring process.
Basis of reporting
Domestic firm submissions (including
firms affiliated with foreign firms)
should cover all material bank, brokerdealer and non-bank entities
contributing to the firm's funding and
liquidity operations. Each firm should
submit a consolidated firm schedule, a
parent company schedule, and a
contingencies/pricing item schedule, if
applicable.
Depending on the operations and
business activities of the firm, not all
data fields or schedules are applicable.
For example, if the firm is not involved
in the REPO secured funding markets,
Section 6 “Repurchase Transactions” in
the consolidated schedule will not apply.
Where to Submit Reports
U.S. BHC with total consolidated assets >$50
billion
Institutions with total consolidated assets greater
than $50 billion (including institutions affiliated
with foreign firms) should report monthly.
Under adverse market or firm conditions,
supervisors may request submissions of liquidity
data on a more frequent basis up to daily through
examination process. Supervisors will also
assess whether non-G-SIB, based on their
complexity and risks, should use form FR 2052a
or provide more frequent submissions. Changes
to the above reporting requirements would be
discussed with firms by their supervisors and
adequate time would be provided to move from
FR 2052b to 2052a, or to increase frequency of
submissions.
U.S. BHC with total consolidated assets $10
billion -$50 billion
Institutions with total consolidated assets
between $10 billion and $50 billion (excluding
institutions affiliated with foreign firms) should
report quarterly. Under adverse market or firm
conditions supervisors may request submissions
of their liquidity data on a more frequent basis
up to daily if the situation warrants.
All FR 2052b respondents should submit their
completed report via the Federal Reserve
1
Excluding Global Systematically Important Banks
(G-SIBs) and affiliates of Foreign Banking
Organization (FBOs) with less than $50 billion in
total consolidated assets
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Shifts in Reporting Status
A top-tier holding company that reaches $10
billion or more in total consolidated assets at
quarter end must begin reporting on form FR
2052b the next quarter. If a top-tier holding
company reaches $50 billion or more in total
consolidated assets at quarter end, then the
holding company must begin reporting on the
FR 2052b on monthly basis following the
quarter end. In general, once a holding company
reaches or exceeds $10 billion in total
consolidated assets and begins filing the FR
2052b, it should continue to file FR 2052b going
forward. If a holding company’s total
consolidated assets should subsequently fall to
less than $10 billion for four consecutive
quarters, then the holding company may not be
required to file the FR 2052b.
When to Submit Reports
Please submit their completed report via the
Federal Reserve System's Reporting Central
Application by the 15th day of the month by 8
pm (Central Time). If the 15th day of the month
falls on a Saturday, Sunday, or holiday, the
report should be submitted on the previous
business day.
How to Prepare Reports
Completing the report
1. The report consists of three schedules:
Consolidated
Parent Only
Contingency-Pricing
Please ensure that all schedules are
filled out, as applicable.
2. Exempted Line Items
Firms are not required to fill out Section
10 “Deposit Balances”, 10.1, 10.2, 10.3
and Section 12 “Undrawn Commitments
and Contingent Liquidity Needs”, 12.1,
12.2, 12.3, 12.4, and 12.5. Please note
that line 10.4 "Brokered CDs / NMDs”
is not exempted.
3. Reporting “0” versus leaving the cell
blank.
If the firm operates in a particular
business (e.g., Prime Brokerage) or
product (e.g., ABCP) but has no balance
to report on reporting date, or no amount
maturing in given maturity column,
enter ‘0’. If the reporting item is not
applicable based on your firm's business
activities leave the reporting item blank.
4. Do not insert invalid characters or
text into cells meant for numerical
data only:
Specifically, please do not enter:
‘N/A’, ‘NA’, etc. (If a cell is
not applicable, please leave it
blank)
Dashes, hyphens (except to
indicate negative values, where
applicable)
Spaces, symbols, letters, or any
other characters in cells meant
for numerical data only.
5. Rounding.
Enter all values on the Consolidated and
Parent schedules in USD million.
Amounts should be rounded to the
nearest ten thousand. Report all balances
in absolute (positive) values with the
exception of the Estimated Core
Funding Gap section, Net Loan
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Growth/Attrition and Net Retail Deposit
Growth/Attrition. A breakdown of each
category is provided in the field
definitions supplement to these general
instructions. On the ContingencyPricing schedule, CDC spread should be
reported in basis points, and all values in
the Unsecured funding section should be
reported as a rate rounded to two
decimals (e.g., a rate of 1.23% should be
reported as 1.23)
6. Data sourcing specifics:
Data do not need to be sourced from
formal accounting records like the
General Ledger, but should reflect
information used to manage funding
operations. Data provided should
reflect reasonable accuracy and will
be subject to periodic review by the
regulatory teams.
If a factor that has a material
liquidity impact for the firm and is
not listed in the current set of data
elements, please include balances in
the ’Other’ row under each
category. Additionally, include a
comment in the notes column on the
nature of the transaction/activity of
any material value that is entered
into the ‘Other’ rows.
Exclude intercompany transactions
on the consolidated schedule of this
report.
Convert all non-dollar denominated
amounts into US Dollar (USD)
equivalents applying the closing
exchange rate as reported by
Bloomberg for the appropriate
reporting date.
Exclude any double counting of
assets or liabilities. As an aid,
common double counting errors
have been pointed out throughout
the instructions, as applicable.
7. Contractual Treatment: Please
report only contractual/committed
cash flows.
Do not report transactions based on
behavioral or projected assumptions,
with the exception of the ‘Estimated
Core Funding Gap section, Net Loan
Growth/Attrition and Net Retail Deposit
Growth/Attrition’ on the Consolidated
tab and “Forecasted Parent Only
Company Cash Inflows” and “Expected
Cash Outflows” on the Parent tab.
8. Maturity schedule:
The maturity schedule is used to report
the date on which inflows and outflows
are expected to occur. Report the
appropriate maturity time bucket for
each data element on a best efforts basis
using contractual flows.
Day 1 represents next business day
receipt (i.e., expected receipt on the
first business day of the next month
= Day 1). Business days follow the
Fedwire calendar.
Report transactions and balances
with no maturity (e.g. repo, retail
demand deposits) and maturing
overnight transactions in the Day 1
maturity column.
Liabilities with embedded
optionality should be reported at the
earliest date the funds can be
withdrawn.
Report executed transactions only
(i.e., transactions that have traded
but not necessarily have settled).
Sections which include only 1
reportable field (i.e., ‘Undrawn
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Commitments’) should include all
outstanding balances or facilities on
the reported “as of” date.
The total column represents the total
for that specific sub-line and is
automatically calculated. Therefore,
there is no need to supply data for
the total column.
9. Notes column:
The Notes column should be used to
provide additional or explanatory detail.
For example:
Details on material/important
transactions occurring or balance
changes relative to that line item.
(Include a brief summary in the
notes column when significant
material variances occur from prior
submission).
Explanations of data items included
in “Other” line items
Other notes or additional
information about supplied data
values
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DATA DEFINITIONS
GENERAL INSTRUCTIONS ...................................................................................................................... 1
Purpose .......................................................................................................................................................... 1
Who Must Report .......................................................................................................................................... 1
Basis of reporting ...................................................................................................................................... 1
Where to Submit Reports .............................................................................................................................. 1
Frequency of Reporting ................................................................................................................................ 1
U.S. BHC with total consolidated assets >$50 billion .............................................................................. 1
U.S. BHC with total consolidated assets $10 billion -$50 billion ............................................................ 1
Shifts in Reporting Status ......................................................................................................................... 2
How to Prepare Reports ................................................................................................................................ 2
Completing the report ............................................................................................................................... 2
Total Consolidated Assets ......................................................................................................................... 5
Total Bank Assets ...................................................................................................................................... 5
Section 1: Cash & Equivalents ....................................................................................................................... 5
1.1 Cash & Coins ....................................................................................................................................... 5
1.2 Excess Reserves at Central Banks ....................................................................................................... 5
1.3 Fed Funds, Eurodollars Sold and Placements at Other Banking Institutions ...................................... 5
1.4 Other ................................................................................................................................................... 5
Section 2: Reverse Repos (by assets employed) ........................................................................................... 5
Section 3: Investment Securities ................................................................................................................... 6
Unencumbered Assets .............................................................................................................................. 6
FHLB Capacity ............................................................................................................................................ 7
Central Bank (DW) Capacity ...................................................................................................................... 7
Secured Deposits ...................................................................................................................................... 8
Other Secured Financing ........................................................................................................................... 8
Investment Securities Types Definitions ................................................................................................... 8
Section 4: Loans and Leases ........................................................................................................................ 10
Available for Sale, Securitization, and/or Repo ...................................................................................... 10
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FHLB Capacity .......................................................................................................................................... 11
Central Bank (DW) Capacity .................................................................................................................... 11
Secured Deposits .................................................................................................................................... 11
Other Secured Financing ......................................................................................................................... 12
Loans and Leases Type Definitions ......................................................................................................... 12
Section 5: Secured Funding Sources Outstanding ...................................................................................... 13
5.1 FHLB Borrowing ................................................................................................................................. 13
5.2 Federal Reserve (Central Bank) Borrowing ....................................................................................... 13
5.3 Secured Deposits ............................................................................................................................... 13
5.4 Other Secured Financing ................................................................................................................... 13
Section 6: Repurchase Transactions (by security asset class) ..................................................................... 13
Section 7: Unsecured Financing .................................................................................................................. 15
7.1 Commercial Paper ............................................................................................................................. 15
7.2 Fed Funds and Eurodollars Purchased .............................................................................................. 15
7.3 Long‐Term Debt – Structured, Not Structured, Govt. Supported ..................................................... 15
7.4 Draws on Committed Lines from External Entities ........................................................................... 15
7.5 Wholesale CDs and Bank Notes ........................................................................................................ 15
7.6 Other Unsecured Financing .............................................................................................................. 16
Section 8: Estimated Core Funding Gap...................................................................................................... 16
8.1 Net Loan Growth/Attrition ............................................................................................................... 16
8.2 Net Retail Deposit Growth/Attrition ................................................................................................. 16
Section 9: Contractual Loan Inflows and Committed Inflow ...................................................................... 16
9.1 Loans (maturing cash inflows) .......................................................................................................... 16
9.2 Undrawn Portion of Liquidity and Credit Facilities ........................................................................... 16
Section 10: Deposit Funding ....................................................................................................................... 17
10.4 Brokered CDs/NMDs ....................................................................................................................... 17
Section 11: ABCP Exposure ......................................................................................................................... 17
11.1 ABCP‐ Single Seller .......................................................................................................................... 17
11.2 ABCP‐ Multi Seller ........................................................................................................................... 17
Section 12: Undrawn Commitments and Contingent Liquidity Needs ....................................................... 17
Section 13: Liquid Assets ............................................................................................................................. 18
13.1 Cash Deposit at Holding Company Bank & Non Bank Subsidiaries ................................................ 18
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13.2 Cash/Deposit Held Externally.......................................................................................................... 18
13.3 Unencumbered Assets‐Market Value ............................................................................................. 18
13.4 Other Assets .................................................................................................................................... 18
Section 14: Forecasted Parent Company Only Cash Inflows ...................................................................... 19
14.1 Dividends from Banking Subsidiary................................................................................................. 19
14.2 Dividends from Non‐Banking Subsidiary ......................................................................................... 19
14.3 Operating Cash Inflows ................................................................................................................... 19
14.4 Other Cash Inflows .......................................................................................................................... 19
Section 15: Unsecured Financing ................................................................................................................ 19
15.1 Commercial Paper ........................................................................................................................... 19
15.2 Long‐Term Debt – Structured, Not Structured, Govt. Supported ................................................... 19
15.3 Draws on Committed Lines ............................................................................................................. 19
15.4 Other Unsecured Financing ............................................................................................................ 19
Section 16: Expected Cash Outflows ........................................................................................................... 20
16.1 Common Dividends ......................................................................................................................... 20
16.2 Operating Expenses ........................................................................................................................ 20
16.3 Debt Service Payments ................................................................................................................... 20
16.4 Bank Subsidiary Support ................................................................................................................. 20
16.5 Non‐Bank Subsidiary Support ......................................................................................................... 20
16.6 Other Cash Outflows ....................................................................................................................... 20
Section 17: Committed Facilities Provided to Banks .................................................................................. 20
17.1 Committed & Undrawn Liquidity Facilities Provided to Banks ....................................................... 20
17.2 Committed & Unfunded Credit Facilities Provided to Banks: ......................................................... 21
Section 18: Auxiliary Cash Flow Information .............................................................................................. 21
18.1 Restricted Liquidity (Funds that have Legal Ring Fencing constraints) ........................................... 21
Section 19: CDS Spread ............................................................................................................................... 22
19 CDS Spread ......................................................................................................................................... 22
Section 20: Unsecured Funding Pricing ...................................................................................................... 22
20.1 Unsecured Bank Funding Curve ...................................................................................................... 22
20.2 Unsecured Holding Company Funding Curve ................................................................................. 22
Acronyms: ................................................................................................................................................... 23
Glossary: ...................................................................................................................................................... 24
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CONSOLIDATED REPORTING SCHEDULE
Total Consolidated Assets
Report total consolidated assets of the top tier
BHC.
Total Bank Assets
Report total consolidated assets of the lead
bank.
Section 1: Cash & Equivalents
Liquid assets are defined as cash and
equivalents. Report contractually due cash flows
in each sub‐line item across the appropriate
maturity columns. Operational cash flows, such
as check float, should be excluded.
1.1 Cash & Coins
Report all cash (coins and bank notes) held by
the bank that is immediately available to meet
obligations.
1.2 Excess Reserves at Central
Banks
Report cash balances, in excess of reserve
requirements, maintained at the Federal
Reserve and/or at central banks other than the
Federal Reserve. If the firm is depositing cash
with a term, report it in the appropriate
maturity column.
institutions, which will contractually result in a
cash inflow. Do not include deposits at other
held at other financial institutions for
operational purposes such as clearing, custody
and cash management.
1.4 Other
Report all other cash and equivalent assets not
counted above, including, but not limited to,
cash to forward settlements, receivables from
derivatives, collateral called for receipt, etc. Do
not include derivative receivables or collateral
cash flows related to netted investment
securities and debt securities as described in
their respective sections. If using this line item,
please comment on the type/nature of the
items included in this section in the “Notes”
column to the right.
Section 2: Reverse Repos (by
assets employed)
Report gross contractual maturity cash flows of
Reverse Repo transactions in the appropriate
line item and column. Report the cash value of
the transaction and not the face value of
securities repurchased. For securities that have
multiple ratings, report the transaction or asset
based on the lowest rating.
1.3 Fed Funds, Eurodollars Sold and
Placements at Other Banking
Institutions
Report maturities of ‘Fed funds’, ‘Eurodollars’
sold, and placements held at other banking
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Item Reverse Repos
(by assets employed)
2.1
2.2
2.3
2.4
2.5
Description
US Treasury and 0% Risk
Weight US Agency Debt,
Sovereign Debt and
Other 0% Securities
Report all bills, certificates of indebtedness, notes and bonds
issued or explicitly guaranteed by the US Treasury or a US
Agency subject to a 0% risk weight for risk‐based capital
calculations. Also report sovereign debt and all other securities
subject to a 0% risk weight for risk‐based capital calculations.
US Agency Debt with
Report all debt securities issued or explicitly guaranteed by US
20% Risk Weight
government agencies or US Government‐sponsored agencies
subject to a 20% risk weight for risk‐based capital calculations.
AA‐ or better Non‐
Report all Non‐Financial Corporate Debt that is rated AA‐ or
Financial Corporate Debt better and subject to a 20% risk weight for risk based capital
with 20% Risk Weight
calculations. If the debt is split rated, use the lowest available.
Other Securities with
Report all other securities subject to a 20% risk weight for risk‐
20% Risk Weight
based capital calculations.
Other
Report all other securities that are not included in the categories
listed above. If using this line item, please comment on the
type/nature of the items included in this section in the “Notes”
column to the right.
Section 3: Investment Securities
Investment securities are divided into 5 sections:
Unencumbered Assets, FHLB Capacity, Central
Bank (DW) Capacity, Secured Deposits, and
Other Secured Financing. Report the investment
securities in one of the categories based on the
category description and security types
described below. This section represents
balances at the “as of” date, not balances along
the time periods of previous sections.
Unencumbered Assets
Report the firm’s inventory of unencumbered
securities in the appropriate line item.
“Unencumbered assets” refers to securities that
meet the following conditions:
The assets must not be pledged either
explicitly or implicitly in any way to
secure, collateralize or credit enhance
any transaction
The assets must be available to the
bank’s treasury to convert into cash for
funding purposes at any time
There should be no legal, regulatory or
operational restrictions to use these
assets as a liquidity buffer
Additionally, any assets acquired using reverse
repo should be excluded.
To the extent otherwise unencumbered assets
have interest rate or other such derivatives
associated with them (and under the control of
the bank’s treasury), the value of the assets
should be reported net of any amount payable
by the reporting institution should the
derivative be terminated on the reporting date.
Amounts due to the reporting institution should
not be added to the asset value. Report market
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values as of close of business on the reporting
date.
Unencumbered Assets
Market Value
Report the market value of the unencumbered
assets by type.
Lendable Value
Report the lendable value of the unencumbered
assets by type. Lendable value is the value that
the firm could obtain for the assets reported in
the same category, which incorporate ‘haircuts’
considering factors such as liquidity, credit and
markets risks.
FHLB Capacity
Report securities pledged to the FHLB system by category regardless of whether funds have been drawn
against the pledged securities.
FHLB Capacity
Market Value
Report the market value of the securities by type
that belong to this category.
Borrowing Capacity Value
Report the borrowing capacity value of the
securities by type that belong to this category.
Borrowing capacity value is the amount that the
firm could obtain for the assets reported in the
same category, which incorporate ‘haircuts’
considering factors such as liquidity, credit and
markets risks.
Central Bank (DW) Capacity
Report securities pledged to the Federal Reserve’s discount window facility where such pledged
collateral has been pre‐approved as eligible collateral to secure borrowings.
Central Bank (DW) Capacity
Market Value
Report the market value of the securities by type
that belong to this category.
Borrowing Capacity Value
Report the borrowing capacity value of the
securities by type that belong to this category.
Borrowing capacity value is the amount that the
firm could obtain for the assets reported in the
same category, which incorporate ‘haircuts’
considering factors such as liquidity, credit and
markets risks. Report the capacity as reported to
the firm by the Fed Discount Window.
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Secured Deposits
Report securities pledged to secure deposits, for example securities pledged to collateralize public
deposits.
Secured Deposits
Market Value
Report the market value of the securities by type
that belong to this category.
Collateral Capacity Value
Report the borrowing capacity value of the
securities by type that belong to this category.
Collateral capacity value is the amount that the
firm could obtain for the assets reported in the
same category, which incorporate ‘haircuts’
considering factors such as liquidity, credit and
markets risks.
Other Secured Financing
Report investments securities that are pledged to third parties. Examples include ABS trust, ABCP
conduits, secured borrowing commitments in which assets have been pledged to the facilities.
Other Secured Financiers
Market Value
Report the market value of the securities by type
that belong to this category.
Borrowing Capacity Value
Report the borrowing capacity value of the
securities by type that belong to this category.
Borrowing capacity value is the amount that the
firm could obtain for the assets reported in the
same category, which incorporate ‘haircuts’
considering factors such as liquidity, credit and
markets risks.
Investment Securities Types Definitions
The following table contains a description of the investment securities types. For securities that have
multiple ratings, report the transaction or asset based on the lowest rating:
Item Investment
Securities
Description
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3.1
US Treasury and 0% Risk
Weight US Agency Debt,
Sovereign Debt and Other
0% Securities
Report all bills, certificates of indebtedness, notes and bonds
issued or explicitly guaranteed by the US Treasury or a US Agency
subject to a 0% risk weight for risk‐based capital calculations.
Also report sovereign debt, and all other securities subject to a
0% risk weight for risk‐based capital calculations.
3.2
US Agency Debt with 20%
Risk Weight
Report all debt securities issued or explicitly guaranteed by US
government agencies or US Government‐sponsored agencies
subject to a 20% risk weight for risk‐based capital calculations.
3.3
Municipal Securities with
20% Risk Weight
3.4
3.5
3.6
Report general obligation claims on, or portions of claims
guaranteed by the full faith and credit of, states or other political
subdivisions of the United States subject to 20% risk weight for
risk‐based capital calculations. State and political subdivisions
include the fifty States of the United States and the District of
Columbia and their counties, municipalities, school districts,
irrigation districts, and drainage and sewer districts and the
governments of Puerto Rico and of the U.S. territories and
possessions and their political subdivisions. If an investment is
split rated, defer to the lowest rating.
Private Label RMBS, CMBS Report all Private Label RMBS, CMBS and ABS subject to 20% risk
weight for risk‐based capital calculations.
and ABS with 20% Risk
Weight
Private Label RMBS: Collateralized Mortgage Obligation
(CMOs), Real Estate Mortgage Investment Conduits
(REMICs), CMO and REMIC residuals, stripped mortgage‐
backed securities and commercial paper backed by loans
secured by 1‐4 family residential properties that are not
backed by a US government agency or US government
sponsored entity.
CMBS: In general, a commercial mortgage‐backed security
represents an interest in a pool of loans secured by
properties other than 1‐4 family residential properties.
ABS: Asset‐backed securities (other than mortgage‐backed
securities) include asset‐backed commercial paper.
AA‐ or better Non‐
Report all Non‐Financial Corporate Debt that is rated AA‐ or
Financial Corporate Debt
better and subject to a 20% risk weight for risk based capital
with 20% Risk Weight
calculations. If the debt is split rated, use the lowest rating
available.
Other Securities with 20% Report all other securities subject to a 20% risk weight for risk‐
Risk Weight
based capital calculations.
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3.7
3.8
3.9
Municipal Securities with
greater than 20% Risk
Weight
Report securities issued by state and political subdivisions in the
United States subject to greater than 20% risk weight for risk‐
based capital calculations. State and political subdivisions
include the fifty States of the United States and the District of
Columbia and their counties, municipalities, school districts,
irrigation districts, and drainage and sewer districts and the
governments of Puerto Rico and of the U.S. territories and
possessions and their political subdivisions. Securities can
include general obligations, revenue obligations and industrial
development and similar obligations. If an investment is split
rated, defer to the lowest rating.
Private Label RMBS, CMBS Report all Private Label RMBS, CMBS and ABS subject to greater
and ABS with greater than than 20% risk weight for risk‐based capital calculations.
20% Risk Weight
Private Label RMBS: CMOs, REMICs, CMO and REMIC
residuals, stripped mortgage‐backed securities and
commercial paper backed by loans secured by 1‐4 family
residential properties that are not backed by a US
government agency or US government sponsored entity.
CMBS: In general, a commercial mortgage‐backed security
represents an interest in a pool of loans secured by
properties other than 1‐4 family residential properties.
ABS: Asset‐backed securities (other than mortgage‐backed
securities) include asset‐backed commercial paper.
Other Securities
Report all other investment securities not listed above. If using
this line item, please comment on the type/nature of the items
included in this section in the “Notes” column to the right.
Section 4: Loans and Leases
Loans and Leases are divided into 5 sections: Available for Sale, Securitization, and Repo; FHLB Capacity;
Central Bank (DW) Capacity; Secured Deposits and Other Secured Financing. Report loans and leases in
one of the categories based on the category description and loan types described below.
Available for Sale, Securitization, and/or Repo
Available for Sale, Securitization, and/or Repo
The input value should include liquid loans, by product type, that could be repoed, sold, or securitized
in a reasonable amount of time (3 months or less). To avoid double counting, the balances provided
should not include loans already pledged to secure FHLB, Discount Window, and any 3rd party
counterparty capacity or seller’s interest not available to pledge. The input value should be the
market value of loans for sale, securitization and/ or Repo. The market value can be interpreted as
the book value less a haircut for the sale. The haircut applied to loans and leases can be based on
readily available market‐based metrics for the general asset type. For example, publically available
loan and lease haircuts provided by the FHLB or Discount Window could be used as a benchmark as a
reasonable estimate.
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FHLB Capacity
FHLB Capacity
Book Value
Report the book value of the loans pledged to
the FHLB system by product type.
Borrowing Capacity Value
Borrowing capacity should reflect the available
amount based on collateral posted and haircuts
applied. Also report capacity values net of any
pledged sellers interest, required over‐
collateralization, and credit risk retention
requirement. The input value should include total
capacity, i.e., capacity securing both outstanding
borrowings and remaining capacity. If additional
FHLB stock purchase is required to realize full
borrowing capacity please make a comment in
the note section regarding additional purchase
requirement.
Central Bank (DW) Capacity
Central Bank (DW) Capacity
Book Value
Report the book value of the loans pledged to the
Federal Reserve Discount Window by product
type.
Borrowing Capacity Value
Report available capacities created by the
existence of pledged loan collateral, by product
type, at the Federal Reserve’s discount window
facility where such pledged collateral has been
pre‐approved as eligible collateral to secure
borrowings. Available capacity should reflect the
immediately available amount based on collateral
posted and ‘haircuts’ applied. Report the
capacity as reported to the firm by the Discount
Window.
Secured Deposits
Secured Deposits
Book Value
Report the book value of the loans pledged that
belong to this category.
Collateral Capacity Value
Report the borrowing capacity value of the loans
that belong to this category. Borrowing capacity
value is the amount that the firm could obtain for
the assets reported in the same category, which
incorporate ‘haircuts’ considering factors such
as liquidity, credit and markets risks.
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Other Secured Financing
Other Secured Financing
Book Value
Report the book value of loans pledged, by
product type, to a private counterparty for
borrowing purposes. Examples include term and
revolving securitization, secured revolving lines
of credit and securitizations conduits and covered
bonds.
Borrowing Capacity Value
The borrowing capacity should reflect the
immediately available amount based on collateral
posted and haircuts applied. Also report capacity
values net of any pledged sellers interest,
required over‐collateralization, and credit risk
retention requirement. Further, the input value
should include total capacity, i.e. both
outstanding borrowings and remaining capacity.
Loans and Leases Type Definitions
The following table contains a description of loans and leases types.
Item Loans and Leases Description
4.1
4.2
4.3
4.4
4.5
4.6
4.7
Mortgages : 1‐4 Family
Loans secured by one‐ to four‐family residential properties
secured by first liens.
Mortgages: Multi Family Loans secured by multifamily (five dwelling units or more)
residential properties.
Home Equity
Report the amount of all closed‐end loans secured by junior
liens on one‐ to four‐family residential properties. Also report
the amount outstanding under revolving, opened lines of credit
secured by one‐ to four‐ family residential properties. These
lines of credit are typically secured by a junior lien and are
usually accessible by check or credit card.
Credit Card
Report all extensions of credit to individuals for household,
family, and other personal expenditures arising from credit
cards.
Auto Loans and Leases
Report all consumer loans and leases extended for the purpose
of purchasing new and used automobiles and other vehicles for
personal use. Include both direct and indirect consumer
automobile loans as well as retail installment sales paper
purchased by the bank from automobile dealers. Exclude
commercial automobile loans, such as floor‐plan loans and
loans to finance vehicle fleet sales (these should be reported in
4.8 “Commercial and Industrial”).
Other Consumer Loans
Report all other loans and leases to individuals for household,
and Other Consumer
family, and other personal expenditures.
Leases
Commercial Real Estate Report loans issued for land development, construction loans
(including one‐ to four‐family residential and commercial
construction loans), and other land loans. CRE loans also
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Item Loans and Leases Description
4.8
Commercial and
Industrial
4.9
Other Loans and Leases
include loans secured by nonfarm nonresidential property
where the primary source of repayment is derived from rental
income associated with the property
Loans and Leases for commercial and industrial purposes to
sole proprietorships, partnerships, corporations, and other
business enterprises, which are secured (other than by real
estate) or unsecured, single‐payment, or installment.
Report any additional extension of credit balance not already
captured in the categories above (i.e., agricultural loans). If
using this line item, please comment on the type/nature of the
items included in this section in the “Notes” column to the
right.
Section 5: Secured Funding
Sources Outstanding
This section is used to report outstanding
secured funding sources.
5.1 FHLB Borrowing
Report the amount of borrowing outstanding
and letters of credit sourced from the FHLB
system in the respective maturity columns
based on remaining contractual maturity. An
advance containing an option that grants the
FHLB the right to cancel the advance at some
specified future date, should be reported as if
on the first call date.
5.2 Federal Reserve (Central Bank)
Borrowing
Report all direct borrowings from the Federal
Reserve System. Include balances in the
respective maturity columns based on
remaining contractual maturity. List program
name, amount and remaining contractual
maturity of each program utilized in the
“Notes” column to the right.
5.3 Secured Deposits
Report only the portion of deposits that are
secured by any type of collateral. For example,
report public deposits that are secured by
collateral. If a portion of a deposit account is
covered by FDIC insurance, and thus not
secured by collateral, institutions should not
include that portion of the deposit in Secured
Deposits. The secured deposit maturity should
be in accordance with its contractual maturity.
5.4 Other Secured Financing
Report the outstanding amount of other forms
of secured financing issued by the reporting
firm, based on remaining contractual maturity
in the appropriate maturity columns. Examples
include term and revolving securitization,
secured revolving lines of credit and
securitizations conduits and covered bonds.
When using this line, report the type of the
transaction in the “Notes” column to the right.
Section 6: Repurchase
Transactions (by security asset
class)
Report gross contractual maturity cash flows of
secured funding transactions (bilateral and tri‐
party) in the appropriate sub line item and
column. (See Glossary for definitions of
transactions reported in this section.) Report the
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FR 2052b; OMB Number 7100-0361
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contractual cash payment to be paid, including
principal and interest. Do not report the fair
market value of the pledged securities, unless
otherwise noted. Report on a gross basis. ASC
210‐20‐45 (formerly FIN 41) netting does not
apply for this report.
Report repo transactions in section line items
based on underlying collateral categories as
listed in the table below. For transactions that
allow for collateral agreement amendments,
report the transaction based on the collateral
utilized as of the reporting date. Include
transactions that utilize both firm and re‐
hypothecated client owned assets.
Transactions with embedded optionality
or structured features should be
reported in the earliest exercisable
maturity column
Report evergreen or extendible repos in
the appropriate maturity column based
on the remaining contractual maturity,
without making assumptions about
future extensions.
Report collateral upgrade transactions,
including non‐cash transactions, with
external counterparties as two distinct
transactions in the appropriate asset
categorization class
Exclude intercompany repo transactions
Report open (no specified maturity
date) repos in the Day 1 maturity
column, similar to overnight repos
Item Repurchase
Transaction
6.1
(by security asset class)
US Treasury and 0% Risk
Weight US Agency Debt,
Sovereign Debt and Other
0% Securities
6.2
US Agency Debt 20% Risk
Weight
6.3
AA‐ or better Non‐
Financial Corporate Debt
with 20% Risk Weight
6.4
Other Securities with 20%
Risk Weight
Other
6.5
Description
Report all bills, certificates of indebtedness, notes and bonds
issued or explicitly guaranteed by the US Treasury or a US Agency
subject to a 0% risk weight for risk‐based capital calculations.
Also report sovereign debt and all other securities subject to a 0%
risk weight for risk‐based capital calculations.
Report all debt securities issued or explicitly guaranteed by US
government agencies or US Government‐sponsored agencies
subject to a 20% risk weight for risk‐based capital calculations.
Report all Non‐Financial Corporate Debt that is rated AA‐ or
better and subject to a 20% risk weight for risk based capital
calculations. If the debt is split rated, use the lowest rating
available.
Report all other securities subject to a 20% risk weight for risk‐
based capital calculations.
Report all other securities that are not included in the categories
listed above. If using this line item, please comment on the
type/nature of the items included in this section in the “Notes”
column to the right.
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FR 2052b; OMB Number 7100-0361
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Section 7: Unsecured Financing
Report all unsecured financing that the firm has contractually received based on remaining scheduled
maturity in the appropriate sub line item and maturity column. (See Glossary for definitions of
transactions in this section.)
7.1 Commercial Paper
Report the outstanding amount of unsecured commercial paper by remaining maturity in the
appropriate maturity column.
7.2 Fed Funds and Eurodollars Purchased
Report the outstanding amount of Fed funds and Eurodollar purchased transactions by remaining
maturity in the appropriate maturity column.
7.3 Long‐Term Debt – Structured, Not Structured, Govt. Supported
In this line, report the total face value by remaining amount in the appropriate maturity column:
Non‐structured debt issuances in the corresponding maturity columns according to remaining
maturity. Long term is defined as an original maturity that is greater than or equal to one year
in maturity.
Debt instruments with an embedded structured principal payoff profile. Transactions with a
specified exercise schedule should be reported on the first scheduled exercise date.
Transactions with any other ‘pay‐off’ trigger should be reported in the maturity column
corresponding to the earliest payout date. Include derivatives classified as long term debt based
on GAAP rules.
In addition, if specific derivative transactions, excluding those related to fair value interest rate
hedging, have cash flow characteristics equivalent to long term debt (e.g. a bullet cash
repayment obligation at maturity) and are classified as debt under U.S. GAAP, institutions
should report the cash repayment obligation associated with the derivative in the appropriate
maturity column.
Government supported/guaranteed unsecured debt issuances. Provide name of program,
amount and maturity in the notes column. Report TLGP and TARP debt in this line.
7.4 Draws on Committed Lines from External Entities
Report all outstanding draws made on unsecured committed lines provided by external entities by
remaining maturity in the appropriate maturity column.
Include balances in respective time period columns based on maturity or line renewal date.
7.5 Wholesale CDs and Bank Notes
Report the outstanding amount of wholesale CDs, including negotiated CDs and bank notes by
remaining maturity in the appropriate maturity column. Wholesale CDs are large denominations of
certificates of deposit that are both tradable and negotiable and typically settled at DTCC.
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FR 2052b; OMB Number 7100-0361
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Exclude brokered CDs that are reported on Line 10.4 (Brokered CDs/NMDs).
7.6 Other Unsecured Financing
Report any other unsecured financing activities not already covered in this section. If using this line
item, please comment on the type/nature of the items included in this section in the “Notes” column to
the right.
Section 8: Estimated Core Funding Gap
The Net Loan Growth/Attrition and Net Retail Deposit Growth/Attrition line items are intended to
capture the forecasted (best estimate) change in loan and deposits, representing net inflows/outflows in
the stated time buckets. These estimates should be obtained from the institution's internal reports for a
normal environment (i.e. no extraordinary stress applied) such as a liquidity gap report, budget
projections, ALM base case forecast, etc. Essentially, the entity should estimate the net funding
inflows/outflows attributed to the bank’s core loan and deposit activities. For example, if loans
outstanding are currently $70,000, and projected to be $65,000 30 days out, the input value should be ‐
$5,000 in the ‘>1 day <=1 month’ column.
8.1 Net Loan Growth/Attrition
Report the net funding inflows/outflows resulting from the expected change in the reporting entities
core lending activities in the corresponding maturity columns. Positive and negative numbers are
allowed in this section.
8.2 Net Retail Deposit Growth/Attrition
Report the net funding inflows/outflows resulting from the expected change in the reporting entities
retail deposit activities in the corresponding maturity columns. Positive and negative numbers are
allowed in this section.
Section 9: Contractual Loan Inflows and Committed Inflow
9.1 Loans (maturing cash inflows)
Report the contractual inflows of all maturing and fully performing loans in the corresponding maturity
columns. This line item differs from the Net Loan Growth/Attrition line item in that the entity is only
reporting total contractual loan maturities. Do not make assumptions about amortizations and
prepayments. Contractual loan maturities should not be netted against total estimated loan growth.
9.2 Undrawn Portion of Liquidity and Credit Facilities
Report undrawn liquidity and credit commitment that the firm has access to.
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FR 2052b; OMB Number 7100-0361
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Section 10: Deposit Funding
Report deposit funding obtained by the reporting entity from external counterparties in the appropriate
sub item with the corresponding maturity columns. For products with non‐maturing characteristics, (e.g.
demand deposits) report the balances in the Day 1 maturity bucket. Firms are exempt from reporting
this section except for 10.4.
10.4 Brokered CDs/NMDs
Report all insured and uninsured deposits originated through financial advisory or broker sales force.
This should include deposits sourced from deposit gatherers. Brokered deposits represent funds which
the reporting bank obtains, directly or indirectly, by or through any deposit broker for deposit into one
or more deposit accounts. Thus, brokered deposits include both those in which the entire beneficial
interest in a given bank deposit account or instrument is held by a single depositor and those in which
the deposit broker sells participations in a given bank deposit account or instrument to one or more
investors.
Section 11: ABCP Exposure
11.1 ABCP‐ Single Seller
Report the outstanding ABCP issued from single seller programs sponsored by the reporting firm based
on remaining contractual maturity in the appropriate maturity columns.
11.2 ABCP‐ Multi Seller
Report the outstanding ABCP issued from multi‐seller ABCP conduits sponsored by the reporting firm
based on remaining contractual maturity in the appropriate maturity columns.
Section 12: Undrawn Commitments and Contingent Liquidity Needs
This section refers to all liquidity and credit facilities provided to other financial and non‐financial
entities. Firms are exempt from reporting this section.
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FR 2052b; OMB Number 7100-0361
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PARENT COMPANY ONLY REPORTING
SCHEDULE
Report items in the Parent Company Only section which relate only to the Parent Holding Company.
Section 13: Liquid Assets
13.1 Cash Deposit at Holding
Company Bank & Non Bank
Subsidiaries
Report all cash and balances due from related
banks (i.e., banks directly or indirectly owned by
the top‐tier parent bank holding company), and
all cash and balances due from related nonbank
companies.
13.2 Cash/Deposit Held Externally
Report all demand, time and savings balances,
money market funds and other cash items due
from or held with unrelated depository
institutions.
13.3 Unencumbered Assets‐Market
Value
Report the parent company’s inventory of
unencumbered securities. “Unencumbered
assets” refers to securities that meet the
following conditions:
The assets must not be pledged either
explicitly or implicitly in any way to
secure, collateralize or credit enhance
any transaction
The assets must be available to the
bank’s treasury to convert into cash for
funding purposes at any time
There should be no legal, regulatory or
operational restrictions to use these
assets as a liquidity buffer
Additionally, any assets acquired using reverse
repo should be excluded.
To the extent otherwise unencumbered assets
have interest rate or other such derivatives
associated with them (and under the control of
the bank’s treasury), the value of the assets
should be reported net of any amount payable
by the reporting institution should the
derivative be terminated on the reporting date.
Amounts due to the reporting institution should
not be added to the asset value. Report market
values as of close of business on the reporting
date.
13.4 Other Assets
Report all other cash and equivalent assets not
counted above, including, but not limited to,
cash to forward settlements, receivables from
derivatives, collateral called for the receipt, etc.
Do not include derivative receivables or
collateral cash flows related to netted
investment securities and debt securities as
described in their respective sections. If using
this line item, please comment on the
type/nature of the items included in this section
in the “Notes” column to the right.
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FR 2052b; OMB Number 7100-0361
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Section 14: Forecasted Parent
Company Only Cash Inflows
14.1 Dividends from Banking
Subsidiary
15.2 Long‐Term Debt – Structured,
Not Structured, Govt. Supported
In this line, report the total of all:
Report dividend income declared to be paid to
the reporting bank holding company by bank
subsidiaries and associated banks.
14.2 Dividends from Non‐Banking
Subsidiary
Report dividend income declared to be paid to
the reporting bank holding company by
nonbank subsidiaries and associated nonbank
companies.
14.3 Operating Cash Inflows
Report the amount of net cash provided by
operating activities to the parent bank holding
company, including adjustments to reconcile
net income to net cash provided by operating
activities.
14.4 Other Cash Inflows
Report all other cash inflows not counted
above. If using this line item, please comment
on the type/nature of the items included in this
section in the “Notes” column to the right.
Section 15: Unsecured Financing
Report all unsecured financing that the parent
company has contractually received based on
remaining scheduled maturity.
15.1 Commercial Paper
Report the outstanding amount of unsecured
commercial paper or unsecured debt by
remaining maturity in the appropriate maturity
column.
Report all non‐structured debt
issuances in the corresponding maturity
columns according to remaining
maturity. Long term is defined as an
original maturity that is greater than or
equal to one year in maturity.
Report all debt instruments with an
embedded structured principal payoff
profile. Transactions with a specified
exercise schedule should be reported
on the first scheduled exercise date.
Transactions with any other ‘pay‐off’
trigger should be reported in the
maturity column corresponding to the
earliest payout date. Include
derivatives classified as long term debt
based on GAAP rules.
Report all government
supported/guaranteed unsecured debt
issuances. Provide name of program,
amount and maturity in the notes
column. Report TARP and TLGP debt in
this line.
15.3 Draws on Committed Lines
Report all outstanding draws made on
committed lines provided by third party
entities.
15.4 Other Unsecured Financing
Report any other unsecured financing activities
not already covered in this section. If using this
line item, please comment on the type/nature
of the items included in this section in the
“Notes” column to the right.
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FR 2052b; OMB Number 7100-0361
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Section 16: Expected Cash
Outflows
16.1 Common Dividends
Report the amount of expected dividends to be
paid on common and noncumulative perpetual
preferred stock by the parent bank holding
company. Dividends associated with limited‐life
preferred stock should be reported in the debt
service payments section.
16.2 Operating Expenses
Report the total amount of expenses
attributable to salaries and employee benefits,
and all other operating expenses of the
reporting bank holding company that cannot
properly be reported against the other items
mentioned.
16.3 Debt Service Payments
Report the amount of interest payments, limit‐
life preferred dividends and other payments
made by the parent bank holding company on
debt obligations that have an original maturity
of more than one year during the reporting
period. This includes: other borrowed funds,
mandatory convertible securities, TARP, draws
on committed lines, subordinated notes and
debentures; and limited‐life preferred stock
(trust preferred).
16.4 Bank Subsidiary Support
Report all balances due to a bank that is directly
or indirectly owned or controlled by the top‐tier
parent bank holding company. Exclude balances
due to related nonbank depository institutions.
16.5 Non‐Bank Subsidiary Support
Report all balances due to nonbank subsidiaries
that are directly or indirectly owned or
controlled by the reporting parent bank holding
company. In addition, for purposes of this
report, include instruments generally referred
to as trust preferred securities that were issued
out of special purpose entities whereby the
proceeds from the issuance are lent to the
reporting parent company. For purposes of this
item, when the reporting holding company is a
multi‐tier organization, “nonbank subsidiaries”
excludes any subsidiary bank holding companies
of the respondent and the parent company(s) of
the respondent. When the reporting bank
holding company is a top‐tier bank holding
company, this item should include only those
transactions made directly by the reporting
parent company with direct or indirect nonbank
subsidiaries. When the reporting bank holding
company is a lower‐tier bank holding company,
this item should include all balances due to
related nonbank subsidiaries, i.e., balances due
to nonbank subsidiaries directly or indirectly
owned or controlled by the top‐tier bank
holding company.
16.6 Other Cash Outflows
Report all other cash outflows not counted
above. If using this line item, please comment
on the type/nature of the items included in this
section in the “Notes” column to the right.
Section 17: Committed Facilities
Provided to Banks
17.1 Committed & Undrawn
Liquidity Facilities Provided to
Banks
Report potential cash outflows from unfunded
committed liquidity facilities provided to third
party banks that may be drawn on.
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FR 2052b; OMB Number 7100-0361
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17.2 Committed & Unfunded Credit
Facilities Provided to Banks:
Report potential cash outflows from unfunded
committed credit facilities provided to third
party banks that may be drawn on.
Section 18: Auxiliary Cash Flow
Information
18.1 Restricted Liquidity (Funds
that have Legal Ring Fencing
constraints)
Report balances for the reporting entity that are
trapped and subject to legal or regulatory
restrictions on movement. Report total
volumes bucketed in their respective maturity
columns.
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FR 2052b; OMB Number 7100-0361
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CONTINGENCY – PRICING REPORTING
SCHEDULE
Section 19: CDS Spread
19 CDS Spread
Report (in basis points) the CDS 5 year (or
closest tenor available) spread or premium per
annum.
Section 20: Unsecured Funding
Pricing
Report the unsecured funding pricing of the firm
across various products and tenors stated in an
absolute rate (rounded to two decimals) in this
section. Wholesale unsecured funding is defined
as those liabilities and general obligations that
are raised from non‐natural persons (i.e., legal
entities, including sole proprietorships and
partnerships) and are not collateralized by legal
rights to specifically designated assets owned by
the borrowing institution in the case of
bankruptcy, insolvency, liquidation, or
resolution. The unsecured funding pricing
should align with the obligations submitted in
section 7, unsecured financing. Obligations
related to derivatives contracts are explicitly
excluded from this definition. Convert all
discounted instruments to money market yields.
Populate the cells with the weighted average
yield of funding executed in each maturity from
last submission date to current submission date.
On months that the firm does not source any
funding for a given or maturity, leave the cell(s)
blank. Convert floating rate instruments with
original maturity less than one‐year to a bullet
format and report the money market yield in the
maturity bucket corresponding to the final
maturity date.
20.1 Unsecured Bank Funding
Curve
Report the weighted average pricing for bank
subsidiary funding. Example: Fed funds,
Eurodollars, CDs, and Bank Issued Term
Debt/Promissory Notes used to raise USD. As
an alternative, if market funding quotes are
unavailable, the bank’s internal funds pricing
curve could be used as a supplement. Report
the implied USD yield.
20.2 Unsecured Holding Company
Funding Curve
Report the weighted average pricing for any
unsecured funding issued by the Holding
Company. Example Commercial Paper,
Promissory Notes issued by holding company.
Report the implied USD yield.
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Instructions for completing and submitting the FR 2052b
Acronyms:
ABS Asset Backed Securities
ABCP Asset Backed Commercial Paper
ALM Asset – Liability Management
CDs Certificates of Deposit
CDS Credit Default Swap
CMBS Commercial Mortgage Backed Securities
CRE Commercial Real Estate
CP Commercial Paper
DW Discount Window
FHLB Federal Home Loan Bank
HELOC Home Equity Line of Credit
NMD Non‐Maturity Deposit
REPO Repurchase Agreement
RMBS Residential Mortgage Backed Securities
SME Small Medium Enterprise
TARP Troubled Asset Relief Program
TLGP Temporary Liquidity Guarantee Program
Page | 23
Instructions for completing and submitting the FR 2052b
Glossary:
Asset Backed Commercial Paper
ABCP is a form of commercial paper that is
collateralized by other financial assets. ABCP is
typically a short‐term instrument that matures
between 1 and 270 days from issuance and is
issued by an asset‐backed commercial paper
program or conduit. A conduit is set up by a
sponsoring financial institution. The sole
purpose of a conduit is to purchase and hold
financial assets from a variety of asset sellers.
The conduit finances the assets by selling asset‐
backed commercial paper to outside investors.
ABCP Single Seller refers to conduits that issue
asset backed commercial paper to fund the
assets of a single originator or seller. ABCP
Multi Seller refers to conduits that issue asset‐
backed commercial paper to fund the assets of
several unrelated sellers into one diverse
portfolio of assets supporting the issuance of
commercial assets.
Bank Notes
A promissory note made by a bank and payable
to bearer on demand.
Brokered CDs
Represents deposits which the banking
subsidiaries of the reporting Bank Holding
Company receives from brokers or dealers for
the account of others either directly or
indirectly. Includes both those in which the
entire beneficial interest in a given deposit
instrument issued by the bank subsidiary is held
by a single depositor and those in which the
broker sells participations in a given bank
instrument to one or more investors.
Brokered retail deposits are issued in
denominations of $100,000 or less or that are
issued in denominations greater than $100,000
and participated out by the broker in shares of
$100,000 or less.
Commercial Paper
Refers to a promissory note issued by
commercial businesses, including finance
companies and banks, usually sold at a
discount, and typically having a fixed maturity
of 270 days or less.
Corporate Bonds
A bond issued by a corporation usually with a
maturity date greater than or equal to one year.
Evergreen/Extendible Repo/Resale
An evergreen repo/resale is an agreement
between two parties that is automatically
renewed (rolled over) after each completion or
maturity period, until canceled by either party.
An extendible repo/resale is an agreement that
the date of the repurchase/resale can be
continuously renewed by mutual agreement of
the parties.
Fed Funds
Unsecured transactions between depository
institutions and other eligible entities
denominated in US dollars settling via accounts
at regional banks.
Long Term Debt‐Structured
Debt instruments with an original maturity of
greater than or equal to one year whose
principal and/or interest payments are liked to
Page | 24
Instructions for completing and submitting the FR 2052b
an underlying asset (e.g. commodity linked
notes, equity linked notes, reverse convertible
notes, currency linked notes).
o
Assets should be managed with the
clear and sole intent for use as a
source of contingent funds.
Long Term Debt‐Unstructured
o
Assets should not be held as a
hedge for any other exposure.
o
Assets should not be pledged either
explicitly or implicitly in any way to
secure, collateralize, or credit
enhance any transaction.
o
Assets cannot have any legal,
regulatory or operational
restrictions that limit their use as a
source of contingent funds.
Debt issuances with an original maturity greater
than or equal to one year, including plain vanilla
floating rate notes linked to indexes like LIBOR
or Fed Funds Effective as well as plain vanilla
benchmark issuances with standard embedded
options (i.e. call/put).
Repurchase/Resale Agreements
A repurchase agreement is a transaction
involving the sale of financial assets by one
party to another, subject to an agreement by
the seller to repurchase the assets at a specified
date or in specified circumstances. A resale
agreement (also known as a reverse repurchase
agreement) is a transaction involving the
purchase of financial assets by one party from
another, subject to an agreement by the
purchaser to resell the assets at a specified date
or in specified circumstances.
Sovereign
U.S.
Any state of the U.S., the District of Columbia,
and territory of the U.S., Puerto Rico, Guam,
American Samoa, and the Virgin Islands.
Wholesale CDs
Large denominations of certificates of deposit
that are both tradable and negotiable and
typically settled at DTCC.
Entities of a country’s central, state or local
government. They do not include government‐
owned financial or non‐financial firms, and
international organizations.
Unencumbered Assets
Unencumbered assets refer to securities that
meet the following conditions:
o
Assets should be under the control
of the specific function, or
functions, charged with managing
the liquidity risk of the firm
(typically the treasurer).
Page | 25
| File Type | application/pdf |
| File Title | Microsoft Word - FR2052b_20140815_i.docx |
| Author | m1jas00 |
| File Modified | 2014-08-27 |
| File Created | 2014-08-27 |